Dynamic derivative-based pension investment with stochastic volatility: A behavioral perspective

IF 2.2 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2025-09-18 DOI:10.1016/j.insmatheco.2025.103158

Zheng Chen , Zhongfei Li , Yan Zeng , Yang Shen

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引用次数: 0

Abstract

We study a derivative-based optimal investment strategy for a defined contribution (DC) pension plan under the Heston stochastic volatility model. The investor's preferences are described by an S-shaped utility that combines risk-seeking and loss-averse behaviors, benchmarked to a reference point of retirement savings. By the martingale approach and the inverse Fourier transform method, we obtain a semi-analytical form for the optimal investment strategy. We investigate the distinct roles of various factors, such as preferences, wealth goals, market conditions, in the investor's optimal decision, and clarify the dynamic relationship between these factors and derivatives trading. We also provide comprehensive comparisons between the results derived under prospect theory and expected utility theory. A portfolio decomposition validates that the optimal derivatives trading strategy is influenced by both psychological and risk-averse factors. Numerical illustrations are provided to further elaborate our results.

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基于动态衍生品的随机波动养老金投资：行为视角

研究了在赫斯顿随机波动率模型下，基于衍生工具的养老金计划最优投资策略。投资者的偏好由一个s型效用来描述，它结合了寻求风险和规避损失的行为，以退休储蓄为基准。利用鞅方法和傅里叶反变换方法，得到了最优投资策略的半解析形式。我们研究了偏好、财富目标、市场条件等因素在投资者最优决策中的不同作用，并阐明了这些因素与衍生品交易之间的动态关系。我们还对前景理论和期望效用理论的结果进行了全面的比较。组合分解验证了最优衍生品交易策略受到心理因素和风险厌恶因素的影响。数值说明进一步阐述了我们的结果。

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.